Quant Analyst- Credit Risk
3 weeks ago
Role Summary:
The Credit Risk Quant Analysts will work on developing, validating, and enhancing models for credit risk assessment in banking and financial services.
Key Responsibilities:
- Validate credit risk models, including Probability of Default (PD), Loss Given Default (LGD), and Exposure at Default (EAD).
- Develop and implement credit risk scoring models using advanced statistical techniques.
- Ensure compliance with regulatory standards such as IFRS 9 and Basel III/IV IRB approaches.
- Conduct benchmarking, back testing, and stress testing of credit risk models.
- Analyze loan portfolio performance and provide insights for risk mitigation.
- Required Skills:
- Strong expertise in credit risk modeling techniques and statistical methods.
- Proficiency in programming languages like Python, R, or SAS.
- Knowledge of Basel III/IV credit risk regulations and IFRS 9 standards.
- Advanced degree in Quantitative Finance, Statistics, or Economics.
- Understanding of loan portfolios and retail/commercial banking products.
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